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題 名 | Dynamic Programming, Maximum Principle and Probability=動態規劃、最大原則, 及或然率 |
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作 者 | 謝世佳; | 書刊名 | 逢甲學報 |
卷 期 | 26 1993.11[民82.11] |
頁 次 | 頁125-142 |
分類號 | 550.19 |
關鍵詞 | 或然率; 動態規劃; 最大原則; Dynamic programming; Matched control; Time-consistent rule; |
語 文 | 英文(English) |
中文摘要 | 本文評估迴歸方法,求解動態規劃問題。原來的問題是求解變數 的數值,改為估計兩變數之間的常數關係的問題。因外來的因素或誤 差,使函數不能用微分求解。所以,本文用加權迴歸方法,選出最適 的樣本來估計。另一個方法是,估計兩變數之間的圓錐體的關係。它 的中心是最適的變數數值。同理,拉氏乘數也可視為變數,加以估計。 |
英文摘要 | This paper surveys the regression methods for dynamic programming. Examples are illustrated. The problem of selection of variables is transformed into that of parameter estimation. Given the probability of perturbations, this paper answers the theory of dynamic programming and maximum principle over a finite or uncertain horizon. One method is non-differentiable optimization, where the control rule is parameterized through an isotonic regression using the selected optimal experiences. The other is the hyperboloid regression or the multiquadratic method. Its center is the optimal time-consistent control. The lagrangian multiplier is parameterized and robust with respect to perturbations. Note:The author wishes to thank the editor and anonymous referees for helpful suggestions. |
本系統中英文摘要資訊取自各篇刊載內容。